scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN SAHAM KONSTRUKSI BUMN DENGAN REGRESI PANEL DINAMIS

2020 ◽  
Vol 5 (1) ◽  
Author(s):  
Lisa Dwi Ardianti
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Generalized Method Of Moments ◽  
Secondary Data ◽  
Market Capitalization ◽  
Negative Effect ◽  
Dynamic Panel Regression ◽  
The Moment

This study aims to determine the factors that affect stock returns in the Indonesian state-owned construction period January 2013 to December 2015. The variables used were trading volume, market capitalization, inflation, exchange rate and government policy. The data in this research is secondary data obtained from the publication of the Central Bureau of Statistics, Ministry of Commerce and the Indonesia Stock Exchange. This study uses a dynamic panel regression by the method of Generalized Method of Moments (GMM). The results showed that lagged stock returns, trading volume at this time and the exchange rate at the moment significant negative effect on stock returns. While the market capitalization in the current and prior periods and inflation at the moment and the two previous period significant positive effect on stock returns. Besides the government's policy affect to state-owned construction stock returns where policies are made in the era of President Joko Widodo more influence smaller than the policy made during the leadership of President Susilo Bambang Yudhoyono.

scholarly journals ANALISIS TRADING DAY, TRADING VOLUME, DAN TRADING FRECUENCY TERHADAP RETURN SAHAM PERUSAHAAN MAKANAN DAN MINUMAN YANG TERDAFTAR DI BEI PERIODE 2016-2018

2020 ◽  
Vol 25 (1) ◽  
pp. 28-42
Author(s):  
Margha Rettha Ayu Chornelia ◽  
Dwi Suhartini
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Positive Influence ◽  
Data Sources ◽  
Trading Frequency ◽  
Day Trading ◽  
Negative Effect

This study aims to analyze the trading day, trading volume, and frequency trading of stock returns on food and beverage companies listed on the Indonesia Stock Exchange for the period of 2016- 2018. This research method uses a quantitative approach. The analytical method used in this study is multiple regression with the help of the SPSS program. Data sources in this study are secondary data sources obtained through the official website of the Indonesia Stock Exchange. The population and sample of this study were 54 populations and 41 samples. The sampling technique uses non probability sampling that is taking a sample with consideration of certain criteria. The variables used in this study are Trading Day, Trading Volume, and Trading Frequency as an independent variable and Stock Return as the dependent variable. The results of this study indicate that trading day has no effect on stock returns, trading volume has a positive influence on stock returns, and trading frequency has a negative effect on stock retur

scholarly journals PENGARUH INFLASI DAN NILAI TUKAR TERHADAP RETURN SAHAM YANG DIMEDIASIKAN OLEH KINERJA PERUSAHAAN

AJAR ◽  
2021 ◽  
Vol 4 (01) ◽  
pp. 48-63
Author(s):  
Otniel Hongdoyo ◽  
Fransiskus Randa ◽  
Suwandi Ng
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Sampling Method ◽  
Stock Exchange ◽  
Secondary Data ◽  
Total Sample ◽  
Company Performance ◽  
Negative Effect ◽  
Relationship Of ◽  
The Relationship

The purpose of this study was to investigate the effect of inflation and exchange rate to company performance, investigate the effect of company performance to stock returns and investigate the effects of inflation and exchange rate that is mediated by the performance of the company. The population used was the company in LQ 45 listed on the Indonesia Stock Exchange by year study period from 2017 to 2019. The total sample is 21 companies for each year selected by purposive sampling method and using secondary data, the annual report. The analytical method used is the method of path analysis and hypothesis testing mediation conducted by using Sobel test. The analysis showed that inflation and the exchange rate had a negative effect and no significant effect on the performance of the company. The company's performance has a positve effect and no significant effect on stock returns. This study also show that the company's performance did not play a role in mediating the relationship of inflation and exchange rate.

scholarly journals Perbandingan Pengujian Capital Asset Pricing Model dan Arbitrage Pricing Theory

2016 ◽  
Vol 1 (1) ◽  
pp. 51-66
Author(s):  
Puji Hartoyo
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Standard Error ◽  
Stock Exchange ◽  
Investment Decision ◽  
Secondary Data ◽  
Statistical Testing ◽  
Arbitrage Pricing Theory ◽  
Average Deviation ◽  
Main Determinants

The purposes of this study are to assess the effect of each risk on stock returns and to investigate the equilibrum model that has a smaller standard error. The verificative type of this research used is to verify the hypothesis through data processing and statistical testing. Research data were obtained from secondary data of Indonesia Stock Exchange. The results show that the markert risk and exchange rate premium variables have significant effects as shown in the hypothesis; on the contrary, the SMB, HML and premium inflation variables are not the determinants of stock returns. Meanwhile, the Mean Average Deviation test has proven that the CAPM has a smaller standard error rate than the APT; nevertheless, the average difference test has shown insignificant different rate. This research suggests that market risk and exchange rate premium factors are the main determinants of investment decision. In addition, to maintain the confidence of the investors, a company should maintain the stability of income because the SMB and HML factors are neglected in the investment decision. Abstrak Tujuan penelitian ini untuk mengkaji pengaruh masing – masing risiko terhadap return saham serta melihat model keseimbangan mana yang mempunyai standard error yang lebih kecil. Jenis penelitian ini adalah verifikatif yaitu dengan melakukan hipotesis melalui pengolahan data dan pengujian secara statistik. Data penelitian diperoleh dari data sekunder. Dari hasil penelitian, diperoleh hasil bahwa variabel risiko pasar dan premi kurs berpengaruh secara signifikan dan sesuai dengan hipotesis, sedangkan variabel SMB, HML dan premi inflasi bukan determinan return saham. Hasi pengujian lain dengan menggunakan Mean Average Deviation membuktikan bahwa model keseimbangan CAPM mempunyai tingkat standard error yang lebih kecil daripada APT, namun dengan uji beda rata-rata menunjukkan perbedaan yang tidak signifikan. Penelitian ini memberikan masukan kepada investor bahwa faktor yang perlu untuk diperhatikan sebelum melakukan investasi saham adalah dengan lebih memperhatikan faktor risiko pasar dan premi kurs. Sedangkan bagi perusahaan agar tetap mengusahan stabilitas laba untuk menjaga kepercayaan investor, karena faktor SMB dan HML kurang diperhatikan investor dalam mengambil keputusan berinvestasi.

scholarly journals What Factors Affect Stocks’ Abnormal Return during the COVID-19 Pandemic: Data from the Indonesia Stock Exchange

2021 ◽  
Vol 6 (6) ◽  
pp. 1-11
Author(s):  
Yohanes Indrayono
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Early Period ◽  
World Health ◽  
Book Value ◽  
Market Capitalization

This study identifies Indonesian investors’ reactions to the drop in stock prices on the Indonesia Stock Exchange market, during the early months of the COVID-19 crisis, before and after the World Health Organization (WHO) announced that its global spread constitutes a pandemic. It also explores variables that influence stock returns on this market during the financial crisis caused by the COVID-19 pandemic. This study uses a regression analysis of 70 firms, listed on the Indonesia Stock Exchange to examine the pandemic’s influence on trading volume, market capitalization, profitability, and book value for the period December 31, 2019, to April 30, 2020. The results show that stock returns were lower in the early period of the financial crisis caused by the pandemic. Firms’ trading volumes, profitability and book values positively affected stock returns and their market capitalization negatively affected stock returns during the study period. This study contributes useful insights to the finance literature and stock-market participants in terms of dealing with stock markets during financial crises. This study recommends that in any crisis investors should begin buying stocks or increasing their stock purchases to achieve abnormal returns by choosing stocks that perform well in terms of firm profitability and book value by looking a number of financial factors.

scholarly journals Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar Rupiah serta Jumlah Uang Beredar terhadap Return Saham

FORUM EKONOMI ◽  
2018 ◽  
Vol 19 (2) ◽  
pp. 148
Author(s):  
La Rahmad Hidayat ◽  
Djoko Setyadi ◽  
Musdalifah Azis
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Stock Returns ◽  
Money Supply ◽  
Stock Exchange ◽  
Significant Variable ◽  
Inflation Rates ◽  
Negative Effect ◽  
Relationship Of

This research is to examine the effect of inflation, interest rate, exchange rate and money supply on stock returns LQ 45 listed on the Indonesia Stock Exchange. The object of this research is the return - shares out of the category LQ 45 years of research by 2010-2015. Its Sampling using purposive sampling and get the 24 stocks that meet the criteria of 45 stocks LQ 45 as a sample. Thus, the number of samples studied was 144 shares for 6 years. The method used is multiple linear regression analyzes that examine whether or not a significant variable - the independent variable on the dependent variable. Based on the results known that R indicates that there is an ideal relationship of Inflation, Interest Rate, Exchange Rate and Money Supply toward to Return shares in LQ 45. R square indicates that the variable inflation rates, interest rates, the value of exchange rate and the money supply can explain the variable return shares at LQ 45 index. Based on F test indicates the same that the variable inflation rate, interest rate, exchange rate and money supply have a significant influence on shares returns in LQ 45 listed on Indonesia Stock Exchange. The results of T test showed that the rate of inflation significant and negative effect on shares returns and interest rates positive and significant effect on shares returns while exchange Rate and the money supply no significant effect on shares returns in LQ 45 Listed on Indonesia Stock Exchange.Keywords: stock return, Inflation, Interest Rate, Exchange Rate, Money Supply.

scholarly journals PENGARUH INFLASI, SUKU BUNGA DAN NILAI TUKAR TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA PADA PERIODE 2013-2016

2019 ◽  
pp. 101-113
Author(s):  
Hotmauli Sitanggang ◽  
Kornel Munthe
Keyword(s):  
Exchange Rate ◽  
Data Analysis ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Secondary Data ◽  
Manufacturing Companies ◽  
Testing Hypotheses ◽  
Analysis Technique

This study aims to analyze and determine the effect of inflation, interest rates and exchange rates on stock returns on manufacturing companies that go public on the Indonesia Stock Exchange in the 2013-2014 period. The population in this study were 149 companies that went public on the Indonesia Stock Exchange in 2013-2016. By using the Slovin method, a sample of 60 companies was obtained. This type of data is secondary data obtained by documentation techniques. The data analysis technique used is multiple linear regression by testing hypotheses using F and t. The results showed that partially inflation and interest rates had a negative and insignificant effect on stock returns while the rupiah exchange rate had a positive and significant effect on stock returns. Simultaneously that the variables of inflation, interest rates and exchange rates have a significant effect on stock returns on manufacturing companies that go public on the Indonesia Stock Exchange. The amount of variation in inflation, interest rates and exchange rates is only able to explain variations in stock returns by 4.4 percent, while the remaining 95.6 percent is explained by other variables outside of this research variable.

scholarly journals PENGARUH FREKUENSI PERDAGANGAN, VOLUME PERDAGANGAN, DAN KAPITALISASI PASAR TERHADAP RETURN SAHAM PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BEI PERIODE 2016-2019

2021 ◽  
Vol 8 (1) ◽  
pp. 122-138
Author(s):  
Bila Niawaradila ◽  
Gendro Wiyono ◽  
Alfiatul Maulida
Keyword(s):  
Regression Analysis ◽  
Hypothesis Testing ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Significant Positive Effect ◽  
Manufacturing Companies ◽  
Trading Frequency ◽  
Market Capitalization ◽  
Positive Effect

This study aims to determine the impact of Trading Frequency, Trading Volume, and Market Capitalization on the stock returns of Manufacturing Companies listed on the Indonesia Stock Exchange (BEI) for the 2016-2019 Period. The nature of this research is quantitative explanatory. The population is manufacturing companies listed on the Indonesia Stock Exchange from 2016 to 2019. The research sample of 18 manufacturing companies that are still listed on the Indonesia Stock Exchange with the sampling technique is purposive sampling. Data is taken in the form of secondary data obtained through annual reports and financial reports for 2016-2019. The analytical method used consists of multiple regression analysis, classical assumptions, hypothesis testing (t test) and the coefficient of determination test. From the research results it is concluded that based on the regression analysis, the following equation is obtained: Y = -0.060 + 0.044FRE + 0.011VOL + 0.033KAP + e. Based on hypothesis testing, the t test (partial testing) of the variable Trading Frequency has a significant negative effect on Stock Returns, Trading Volume has a significant positive effect on Stock Returns and Market Capitalization has a significant positive effect on Stock Returns. The R Square value of 0.068 indicates that the Trading Frequency, Trading Volume, and Market Capitalization have an effect of 6.8% while the remaining 93.2% is influenced by other variables outside the regression model.

scholarly journals Perbandingan Pengujian Capital Asset Pricing Model dan Arbitrage Pricing Theory

2016 ◽  
Vol 1 (1) ◽  
pp. 51-66
Author(s):  
Puji Hartoyo
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Standard Error ◽  
Stock Exchange ◽  
Investment Decision ◽  
Secondary Data ◽  
Statistical Testing ◽  
Arbitrage Pricing Theory ◽  
Average Deviation ◽  
Main Determinants

The purposes of this study are to assess the effect of each risk on stock returns and to investigate the equilibrum model that has a smaller standard error. The verificative type of this research used is to verify the hypothesis through data processing and statistical testing. Research data were obtained from secondary data of Indonesia Stock Exchange. The results show that the markert risk and exchange rate premium variables have significant effects as shown in the hypothesis; on the contrary, the SMB, HML and premium inflation variables are not the determinants of stock returns. Meanwhile, the Mean Average Deviation test has proven that the CAPM has a smaller standard error rate than the APT; nevertheless, the average difference test has shown insignificant different rate. This research suggests that market risk and exchange rate premium factors are the main determinants of investment decision. In addition, to maintain the confidence of the investors, a company should maintain the stability of income because the SMB and HML factors are neglected in the investment decision. Abstrak Tujuan penelitian ini untuk mengkaji pengaruh masing – masing risiko terhadap return saham serta melihat model keseimbangan mana yang mempunyai standard error yang lebih kecil. Jenis penelitian ini adalah verifikatif yaitu dengan melakukan hipotesis melalui pengolahan data dan pengujian secara statistik. Data penelitian diperoleh dari data sekunder. Dari hasil penelitian, diperoleh hasil bahwa variabel risiko pasar dan premi kurs berpengaruh secara signifikan dan sesuai dengan hipotesis, sedangkan variabel SMB, HML dan premi inflasi bukan determinan return saham. Hasi pengujian lain dengan menggunakan Mean Average Deviation membuktikan bahwa model keseimbangan CAPM mempunyai tingkat standard error yang lebih kecil daripada APT, namun dengan uji beda rata-rata menunjukkan perbedaan yang tidak signifikan. Penelitian ini memberikan masukan kepada investor bahwa faktor yang perlu untuk diperhatikan sebelum melakukan investasi saham adalah dengan lebih memperhatikan faktor risiko pasar dan premi kurs. Sedangkan bagi perusahaan agar tetap mengusahan stabilitas laba untuk menjaga kepercayaan investor, karena faktor SMB dan HML kurang diperhatikan investor dalam mengambil keputusan berinvestasi.

scholarly journals RETURN SAHAM : KARAKTERISTIK PERUSAHAAN DAN INFLASI (STUDI EMPIRIS PADA PERUSAHAAN MANUFAKTUR SEKTOR BARANG KONSUMSI YANG TERDAFTAR PADA BURSA EFEK INDONESIA)

2019 ◽  
Author(s):  
franky okto bernando
Keyword(s):  
Stock Returns ◽  
Consumer Goods ◽  
Stock Exchange ◽  
Secondary Data ◽  
Company Performance ◽  
Manufacturing Companies ◽  
Good Investment ◽  
Negative Effect ◽  
Human Need ◽  
Stable Performance

STOCK RETURN: COMPANY CHARACTERISTICS AND INFLATION (STUDY ON COMPANIES LISTED BY IDX)Abstract: Manufacturing of the consumer goods sector is one industry that is at a level of competition that is quite tight and has a relatively stable performance. Investors consider that manufacturing the consumer goods sector is not only a human need but can also be a good investment for the future. This study aims to analyze the effect of company performance (ROE), the ability of the company to generate profits (ROA), Earning Per Share (EPS), Net Profit Margin (NPM), Inflation Rate, and Company Size (Size), on stock returns of manufacturing companies listed on the Indonesia Stock Exchange in 2012-2016 using regression on the SPSS 20 application.The data used is secondary data obtained from the Jakarta Stock Exchange (JSX) Yearly Statistics, Indonesia Capital Market Directory (ICMD) and Yahoo Finance with a period of 2012 to 2016. The population of this study is 35 companies and the number of samples is 30 companies by passing purposive sampling stage.The results of this study are (ROE), (ROA), EPS, NPM, and Size have a positive effect on stock returns and inflation has a negative effect on stock returns.

scholarly journals The Effect of Company Size, Exchange Rate and Earnings Per Share on Stock Returns

2022 ◽  
Vol 7 (1) ◽  
pp. 1-8
Author(s):  
Elfiswandi Elfiswandi ◽  
Cindy Angela ◽  
Muhammad Fikri Ramadhan
Keyword(s):  
Exchange Rate ◽  
Capital Structure ◽  
Stock Returns ◽  
Firm Size ◽  
Stock Exchange ◽  
Control Variable ◽  
Secondary Data ◽  
Manufacturing Companies ◽  
Earnings Per Share ◽  
Library Research

This study aims to examine and analyze the effect of firm size, exchange rate, earnings per share and capital structure as control variables on stock returns. All manufacturing companies listed on the Indonesia Stock Exchange for the period 2013 – 2017 are the population in this study. By using purposive sampling method, 100 companies were selected as samples in the study. The method of collecting data is library research and secondary data from the official publications of the Indonesia Stock Exchange and the official website of Bank Indonesia. Panel and regression methods are used as an analytical tool in this study. The results obtained in the study are, stock returns are significantly affected by firm size, exchange rates and earnings per share either partially or simultaneously. Meanwhile, when using capital structure as a control variable on stock returns, the results show that the variables of firm size, exchange rate and earnings per share are partially stated to have no significant effect.

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